ANALISIS VALUE AT RISK PADA SAHAM YANG TERDAFTAR DALAM JAKARTA ISLAMIC INDEX (JII) PERIODE JUNI 2017-MEI 2018

Abstract

This research was conducted to (1) find out the results of Value at Risk with Historical Simulation models, Covariance Variants and Monte Carlo Simulations for the period of June 2017-May 2018; (2) knowing which stocks have the biggest and the smallest Value at Risk by using the three VaR models for the period June 2017-May 2018. Calculating the VaR using all three models with a population of all companies listed in the Jakarta Islamic Index (JII). Data taken from the official IDX website, with a purposive sampling method obtained a sample of 27 company shares. VaR calculation results show with the Historical Simulation model, LPPF stock have the largest VaR and give the smallest results on AKRA, ASII, ICBP, INDF, LSIP, TLKM, and UNVR, Covariance Variants models show that PGAS stock have the largest VaR and give the smallest results on ASII stock. Monte Carlo Simulation models show AKRA stock have the largest VaR and give the smallest results on ASII, INCO, INDF, MYRX, PTBA, SMGR, TPIA, UNTR stock.

Keywords: Value at Risk (VaR), Historical Simulation, Covariance Variants and Monte Carlo Simulation